Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.1242
Annualized Std Dev 0.3081
Annualized Sharpe (Rf=0%) -0.4032

Row

Daily Return Statistics

Close
Observations 3367.0000
NAs 1.0000
Minimum -0.2279
Quartile 1 -0.0088
Median -0.0010
Arithmetic Mean -0.0003
Geometric Mean -0.0005
Quartile 3 0.0080
Maximum 0.2047
SE Mean 0.0003
LCL Mean (0.95) -0.0010
UCL Mean (0.95) 0.0003
Variance 0.0004
Stdev 0.0194
Skewness -0.3893
Kurtosis 18.9431

Downside Risk

Close
Semi Deviation 0.0138
Gain Deviation 0.0150
Loss Deviation 0.0149
Downside Deviation (MAR=210%) 0.0185
Downside Deviation (Rf=0%) 0.0139
Downside Deviation (0%) 0.0139
Maximum Drawdown 0.9191
Historical VaR (95%) -0.0250
Historical ES (95%) -0.0448
Modified VaR (95%) -0.0269
Modified ES (95%) -0.0269
From Trough To Depth Length To Trough Recovery
2008-10-28 2021-02-17 NA -0.9191 3120 3097 NA
2008-10-10 2008-10-13 2008-10-24 -0.2360 11 2 9
2008-09-18 2008-09-19 2008-10-06 -0.1942 13 2 11
2008-03-20 2008-05-19 2008-08-12 -0.1920 101 42 59
2007-11-27 2007-12-06 2008-01-16 -0.1264 35 8 27

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA NA -0.6 1.1 0.5
2008 -3.1 3.8 -3.6 -0.5 -0.8 1.7 1 1.2 -0.4 -3.9 9.4 -1.3 2.8
2009 1 1.6 -3.3 -1.4 -4.6 -1.9 -0.3 1.6 2.9 4.8 -2.8 -0.4 -3
2010 -2.8 -1.9 -2.7 1.3 1.9 -0.9 -0.5 -3.6 -1.7 -1 -2.8 -0.7 -14.5
2011 -2.5 1 -1.6 -0.7 1.9 -1.3 0 0.4 5 2.4 0.3 -0.1 4.7
2012 -2.1 -1 1.5 -0.7 2.6 -4.4 0 -0.7 -0.9 -1.6 0.1 -1.4 -8.5
2013 -0.6 -0.3 1.1 1.3 1.8 -0.3 -1.9 -0.8 -2 0 -1.1 -0.9 -3.7
2014 -0.2 0.8 -1.2 -0.2 1.3 -0.9 -0.5 0.2 2 -0.4 1.7 0 2.6
2015 2.6 0 -1.3 -0.6 0.2 0 -1 3.9 -0.4 -0.1 -0.8 0.3 2.9
2016 0.9 -3.6 0.2 0.5 0.1 -0.9 0.1 -0.7 -0.5 0.8 1.1 0.7 -1.3
2017 -0.2 -1.5 0.7 -0.5 -0.8 -0.5 -0.4 -0.8 -1.1 -0.6 0.6 -0.4 -5.5
2018 1.3 0.3 -2.1 0.4 -1.4 -1.7 0.8 -0.6 0.1 -3.5 0.3 0.4 -5.8
2019 0.8 0 -1.7 0.7 -0.5 -1.3 2.1 -0.8 0.6 -1.4 1.4 -0.1 -0.2
2020 1.9 0.3 4.1 3.6 -2.2 -1.2 0.6 -1.7 -1.1 1.2 -2 0.1 3.3
2021 -2.9 -2.8 -1.1 NA NA NA NA NA NA NA NA NA -6.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-11-01  71.5 SPY    151. -0.0234  -0.0053  -0.0179   0.0503   0.0961    0.330    0.689 GLD    77.9 -0.0088   0.025 
2 2007-11-02  71.0 SPY    151.  0.0011  -0.0158  -0.0183   0.0341   0.105     0.332    0.708 GLD    79.8  0.0244   0.0275
3 2007-11-05  72.6 SPY    150. -0.0076  -0.0265  -0.0372   0.0154   0.097     0.305    0.662 GLD    79.8 -0.001    0.0209
4 2007-11-06  70.4 SPY    152.  0.0135  -0.0065  -0.019    0.015    0.114     0.305    0.669 GLD    81.4  0.0211   0.0527
5 2007-11-07  73.1 SPY    148. -0.0274  -0.0436  -0.0548   0.0173   0.0712    0.261    0.610 GLD    82.2  0.0099   0.046 
6 2007-11-08  72.2 SPY    147. -0.0051  -0.0256  -0.058    0.0169   0.0617    0.257    0.582 GLD    82.2 -0.0001   0.0552
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart